| Lecturer | Prof. Dr. J. Grammig |
| Aptitude | undergraduate Mathematics I and II and Statistics I and II |
| Language | English |
| Time and Place | Wednesday, 10:15 - 11:45 a.m. Übungsraum E 04, Mohlstr. 36 |
| Exam | 120 Minutes (oral exam possilble) |
| Credit Points | 6 |
| Content | 1. Introduction: Time Series in Economics and Finance 2. Univariate Time Series Modelling (ARMA, GARCH) 3. Multivariate Time Series (Vector Autoregressions and Cointegration) |
| Literature | Enders W. (1995): Applied Econometric Time Series, John Wiley and Sons. Hamilton J.(1994): Time Series Analysis, Princeton University Press. |
Practical class
Practical exercises for material covered in lecture "Time Series Analysis"
Date: Wednesday, 12:15 - 13:45 a.m., PC-Labor, Nauklerstr.
Course material
| 20.04.04 | |
| 27.04.04 | Second Problem Set.doc Demo.xls |
| 05.05.04 | Time Series Econometrics 1 Time Series Econometrics 2 Time Series Econometrics 3 Time Series Econometrics 4 Time Series Econometrics 5 |
| 18.05.04 | Third Problem Set.doc fracpt.xls DOWJONES.XLS |
| 26.05.04 | <link typo3>EViews Users Guide |
| 28.05.04 | Some Exercises on ARMA Processes |
| 15.06.04 | Fourth Problem Set.doc svar.wf1 Bivariate Normalverteilung in EXCEL.xls |
| 21.06.04 | Supplementary documents for ARMA processes ARMA script.doc |
| 01.07.04 | Mid term exam |
| 04.07.04 | Vorlesungsunterlagen zu Strukturellen VAR(ppt) Vorlesungsunterlagen zu Kointegration(ppt) |
| 14.07.04 | Time Series Exam Summer 2004 Exam in Applied Time Series (Sankt Gallen University Winter 2002/2003) |
| 28.07.04 | Time Series Exam Summer 2004_2 Short solution for the mid term exam |
| 05.08.04 | Data for Structural VAR of South Asian Stock Price Indices |